A Direct Multisearch Approach (DMS) for Many-Objective Derivative-Free Optimization
Published in EUROPT 2025 - Workshop on Advances in Continuous Optimization, 2025
EUROPT 2025 - Workshop on Advances in Continuous Optimization
University of Southampton, England More information here
A Direct Multisearch Approach (DMS) for Many-Objective Derivative-Free Optimization
Abstract: DMS was originally developed for continuous constrained multiobjective derivative‐free optimization, with a general number of objective function components. Still, its performance was never tested for problems with more than three objectives. We propose DMS-Reduction, a variant that uses reduction methods, such as sketching techniques and correlation approaches, to reduce the number of objective function components and related variables to be addressed at each iteration. We detail the algorithmic structure and report promising numerical results in tackling many-objective optimization problems.
Joint work with Ana L. Custódio
Acknowledgments: This research was financially supported by Fundação para a Ciência e a Tecnologia (FCT) (Portuguese Foundation for Science and Technology) through projects UIDB/00297/2020, UIDP/00297/2020, and UI/BD/151246/2021 (Centro de Matemática e Aplicações - NOVA Math).